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Valuation Of Callable Bonds: The Salomon Brothers Aproach

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Author Info
Fernando Rubio (FERNCAPITAL S.A.)

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Abstract

This paper explain, analyze and apply in an example the original paper developed by Kopprasch, Boyce, Koenigsberg, Tatevossian, and Yampol (1987) from The Salomon Brothers Inc. Bond Portfolio Analysis Group. Please, be aware. This paper is for educational issues only. There is a Spanish version in EconWPA.

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File URL: http://129.3.20.41/eps/fin/papers/0507/0507019.pdf
File Format: application/pdf
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Publisher Info
Paper provided by EconWPA in its series Finance with number 0507019.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 34 pages
Date of creation: 20 Jul 2005
Date of revision: 23 Jul 2005
Handle: RePEc:wpa:wuwpfi:0507019

Note: Type of Document - pdf; pages: 34
Contact details of provider:
Web page: http://129.3.20.41

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Related research
Keywords: Salomon Brothers; bond portfolio; duration and convexity; effective duration; valuation; callable and non callable bond;

Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages
G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Capital and Ownership Structure

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This page was last updated on 2009-11-17.

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